Ananth Madhavan

BlackRock, Inc.

Managing Director

400 Howard Street

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

39

DOWNLOADS
Rank 2,920

SSRN RANKINGS

Top 2,920

in Total Papers Downloads

12,974

SSRN CITATIONS
Rank 8,600

SSRN RANKINGS

Top 8,600

in Total Papers Citations

71

CROSSREF CITATIONS

52

Scholarly Papers (39)

Actions:
Email selected abstracts
1.

Market Microstructure: A Survey

Downloads 8,034 ( 712)
Citation 30

Market Microstructure: A Survey

Number of pages: 64 Posted: 28 Mar 2000
Ananth Madhavan
BlackRock, Inc.
Downloads 8,034 (704)
Citation 30

Abstract:

Loading...

market microstructure, liquidity, security prices, transparency, market design

Market Microstructure: A Survey

Journal of Financial Markets
Posted: 29 Mar 2000
Ananth Madhavan
BlackRock, Inc.

Abstract:

Loading...

2.

Liquidity in an Automated Auction

AFA 2002 Atlanta Meetings
Number of pages: 46 Posted: 05 Jan 2002
Mark Coppejans, Ian Domowitz and Ananth Madhavan
BlackRock, Inc, ITG, Inc. and BlackRock, Inc.
Downloads 1,205 (17,335)
Citation 35

Abstract:

Loading...

Electronic trading, liquidity, execution costs, return dynamics

3.

The Russell Reconstitution Effect

Downloads 943 ( 24,909)
Citation 10

The Russell Reconstitution Effect

Investment Technology Group Working Paper No. 01-01
Number of pages: 25 Posted: 29 Jul 2001
Ananth Madhavan
BlackRock, Inc.
Downloads 943 (24,485)
Citation 10

Abstract:

Loading...

Russell Index, reconstitution, abnormal returns, price pressure effect, liquidity effect

The Russell Reconstitution Effect

Financial Analysts Journal, Vol. 59, No. 4, pp. 51-64, July/August 2003
Posted: 21 Jan 2004
Ananth Madhavan
BlackRock, Inc.

Abstract:

Loading...

Equity Investments, research sources, Portfolio Management, portfolio construction, rebalancing, and implementation

4.

Why Do Markets Fragment? A Panel-Data Analysis of Off-Exchange Trading

EFA 0729
Number of pages: 47 Posted: 08 Feb 2001
Kingsley Y. L. Fong, Peter L. Swan and Ananth Madhavan
University of New South Wales - School of Banking and Finance, University of New South Wales (UNSW Sydney and BlackRock, Inc.
Downloads 774 (32,879)
Citation 19

Abstract:

Loading...

Fragmentation, Off-Market Trading, Transparency, Anonymity, Electronic Communication Networks

5.

Primary Securities Markets in Emerging Nations: A Case Study of Peru

November 23, 1998
Number of pages: 17 Posted: 02 Jan 1999
Ananth Madhavan and Jack D. Glen
BlackRock, Inc. and International Finance Corporation (IFC)
Downloads 597 (46,708)
Citation 2

Abstract:

Loading...

6.

Click or Call? Auction Versus Search in the Over-the-Counter Market

Journal of Finance, Forthcoming
Number of pages: 41 Posted: 19 Nov 2011 Last Revised: 19 Aug 2014
Terrence Hendershott and Ananth Madhavan
University of California, Berkeley - Haas School of Business and BlackRock, Inc.
Downloads 481 (61,343)
Citation 17

Abstract:

Loading...

Corporate bonds, electronic trading, auction markets, over-the-counter (OTC) trading

7.

Why Do Security Prices Change? A Transaction-Level Analysis of Nyse Stocks

Downloads 435 ( 69,329)

Why Do Security Prices Change? A Transaction-Level Analysis of Nyse Stocks

NYU Working Paper No. FIN-96-034
Number of pages: 43 Posted: 11 Nov 2008
Ananth Madhavan and Mark Roomans
BlackRock, Inc. and J.P. Morgan Investment Management Inc.
Downloads 435 (68,667)
Citation 7

Abstract:

Loading...

Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

Working Paper, University of Pennsylvania
Posted: 25 Sep 1999
Ananth Madhavan, Matthew P. Richardson and Mark Roomans
BlackRock, Inc., New York University (NYU) - Department of Finance and J.P. Morgan Investment Management Inc.

Abstract:

Loading...

8.

Are Upstairs Markets Pareto Improving?

EFA 2003 Annual Conference Paper No. 751
Number of pages: 43 Posted: 23 Jul 2003
Peter L. Swan, Kingsley Y. L. Fong and Ananth Madhavan
University of New South Wales (UNSW Sydney, University of New South Wales - School of Banking and Finance and BlackRock, Inc.
Downloads 280 (114,197)

Abstract:

Loading...

Fragmentation, upstairs trading, crossing networks, liquidity, cream skimming

9.

Relationship Markets and the Decision to Go Public

Number of pages: 40 Posted: 13 Sep 2006
Ananth Madhavan, Leslie M. Marx and Venkatesh Panchapagesan
BlackRock, Inc., Duke University - Fuqua School of Business, Economics Group and The Goldman Sachs Group, Inc.
Downloads 174 (180,744)

Abstract:

Loading...

IPO, underpricing, underwriting

10.

Exchange Traded Funds 101 for Economists

Downloads 51 (402,945)
Citation 9

Exchange Traded Funds 101 for Economists

NBER Working Paper No. w24250
Number of pages: 39 Posted: 29 Jan 2018
Martin Lettau and Ananth Madhavan
University of California - Haas School of Business and BlackRock, Inc.
Downloads 51 (409,736)

Abstract:

Loading...

Exchange Traded Funds 101 for Economists

CEPR Discussion Paper No. DP12629
Number of pages: 55 Posted: 22 Jan 2018 Last Revised: 29 Jan 2018
Martin Lettau and Ananth Madhavan
University of California - Haas School of Business and BlackRock, Inc.
Downloads 0
Citation 7
  • Add to Cart

Abstract:

Loading...

11.

What Happens with More Funds than Stocks?

Posted: 11 Nov 2019
Ananth Madhavan, Aleksander Sobczyk and Andrew Ang
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

Abstract:

Loading...

ETFs, Mutual Funds, Crowding, Factors

12.

Does Trading by ETF and Mutual Fund Investors Hurt Performance? Evidence from Time- and Dollar-Weighted Returns

Posted: 13 Jun 2018 Last Revised: 20 Aug 2019
Ananth Madhavan and Aleksander Sobczyk
BlackRock, Inc. and BlackRock, Inc

Abstract:

Loading...

ETFs, Mutual Funds, Returns

13.

What's in Your Benchmark? A Factor Analysis of Major Market Indexes

The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 46-59.
Posted: 15 Sep 2017 Last Revised: 20 Aug 2019
Ananth Madhavan, Aleksander Sobczyk and Andrew Ang
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

Abstract:

Loading...

Factors, Market-Capitalization Benchmarks, Factor Mimicking Portfolios

14.

Estimating Time-Varying Factor Exposures

Financial Analysts Journal, Fourth Quarter 2017, Vol. 73, No. 4: 41–54
Posted: 21 Dec 2016 Last Revised: 20 Aug 2019
Ananth Madhavan, Aleksander Sobczyk and Andrew Ang
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

Abstract:

Loading...

15.

Portfolio Construction and Tail Risk

Posted: 25 Jan 2015 Last Revised: 20 Aug 2019
Chris Downing, Ananth Madhavan, Ajit Singh and Alex Ulitsky
BlackRock, BlackRock, Inc., United Nations and BlackRock

Abstract:

Loading...

tail risk, portfolio construction, mean-variance optimization, conditional value at risk

16.

Exchange-Traded Funds: An Overview of Institutions, Trading, and Impacts

Annual Review of Financial Economics, Vol. 6, pp. 311-341, 2014
Posted: 25 Nov 2014
Ananth Madhavan
BlackRock, Inc.

Abstract:

Loading...

17.

Price Dynamics and Liquidity of Exchange-Traded Funds

Journal Of Investment Management, Vol. 14, No. 2, (2016), pp. 1–17
Posted: 27 Apr 2014 Last Revised: 20 Aug 2019
Ananth Madhavan and Aleksander Sobczyk
BlackRock, Inc. and BlackRock, Inc

Abstract:

Loading...

ETFs, premiums, discounts, price discovery

18.

Exchange-Traded Funds, Market Structure and the Flash Crash

Posted: 25 Sep 2011 Last Revised: 12 Mar 2019
Ananth Madhavan
BlackRock, Inc.

Abstract:

Loading...

Flash Crash, Market Microstructure, Fragmentation, ETF

19.

The Dynamics of Leveraged and Inverse Exchange-Traded Funds

Journal Of Investment Management (JOIM), Fourth Quarter 2009
Posted: 19 Jan 2010 Last Revised: 03 Jun 2010
Minder Cheng and Ananth Madhavan
ThirdStream Partners LLC and BlackRock, Inc.

Abstract:

Loading...

Leveraged and inverse ETFs, market microstructure

20.

The Value of Transaction Cost Forecasts: Another Source of Alpha

Journal of Investment Management, Vol. 5, No. 1, First Quarter 2007
Posted: 28 Mar 2007
Mark Coppejans and Ananth Madhavan
BlackRock, Inc and BlackRock, Inc.

Abstract:

Loading...

Transaction costs, trading, alpha, portfolio management

21.

Market Microstructure: A Practitioner's Guide

Financial Analysts Journal, Vol. 58, No. 5, September/October 2002
Posted: 05 May 2003
Ananth Madhavan
BlackRock, Inc.

Abstract:

Loading...

Financial Markets: market structure, Portfolio Management: trading and execution, Corporate Finance

22.

Security Prices and Market Transparency

Posted: 14 Sep 1999
Ananth Madhavan
BlackRock, Inc.

Abstract:

Loading...

23.

International Cross-Listing, Market Quality, and Ownership Rights: An Analysis of the Mexican Stock Market

Posted: 02 Sep 1999
Jack D. Glen, Ian Domowitz and Ananth Madhavan
International Finance Corporation (IFC), ITG, Inc. and BlackRock, Inc.

Abstract:

Loading...

24.

Auction and Dealer Markets: An Empirical Analysis of New York Stock Exchange Specialist Trading

NYSE working paper #94-01
Posted: 10 Aug 1999
Ananth Madhavan and George Sofianos
BlackRock, Inc. and affiliation not provided to SSRN

Abstract:

Loading...

25.

Competition and Collusion in a Dealer Market

Posted: 04 Aug 1999
Prajit K. Dutta and Ananth Madhavan
Columbia University, Graduate School of Arts and Sciences, Department of Economics and BlackRock, Inc.

Abstract:

Loading...

26.

Price Continuity Rules and Insider Trading

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, Vol 30, No 2, June 1995
Posted: 10 Oct 1998
Ananth Madhavan and Prajit K. Dutta
BlackRock, Inc. and Columbia University, Graduate School of Arts and Sciences, Department of Economics

Abstract:

Loading...

27.

Market Segmentation and Stock Prices: Evidence from an Emerging Market

Posted: 05 Jul 1998
Ian Domowitz, Jack D. Glen and Ananth Madhavan
ITG, Inc., International Finance Corporation (IFC) and BlackRock, Inc.

Abstract:

Loading...

28.

Country and Currency Risk Premia in an Emerging Market

JOURNAL OF FINANCIAL AND QUANITATIVE ANALYSIS, June 1998
Posted: 15 Jun 1998
Ian Domowitz, Jack D. Glen and Ananth Madhavan
ITG, Inc., International Finance Corporation (IFC) and BlackRock, Inc.

Abstract:

Loading...

29.

Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders

Posted: 14 May 1998
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

Abstract:

Loading...

30.

Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades

Rodney L. White Center Working Paper No. 26-94
Posted: 14 May 1998
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

Abstract:

Loading...

31.

The Cost of Institutional Equity Trades: An Overview

Rodney L. White Center for Financial Research Working Paper Series #8-98
Posted: 06 May 1998
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

Abstract:

Loading...

32.

The Information Contained in Stock Exchange Seat Prices

Rodney L. White Center for Financial Research Working Paper Series 7-98
Posted: 29 Apr 1998
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

Abstract:

Loading...

33.

Price Discovery in Auction Markets: A Look Inside the Black Box

Posted: 17 Jan 1998
Ananth Madhavan and Venkatesh Panchapagesan
BlackRock, Inc. and The Goldman Sachs Group, Inc.

Abstract:

Loading...

34.

International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market

Posted: 13 Feb 1997
Ian Domowitz, Jack D. Glen and Ananth Madhavan
ITG, Inc., International Finance Corporation (IFC) and BlackRock, Inc.

Abstract:

Loading...

35.

Competition and Collusion in Dealer Markets

J. OF FINANCE, Vol. 52 No. 1, March 1997
Posted: 29 Jan 1997
Prajit K. Dutta and Ananth Madhavan
Columbia University, Graduate School of Arts and Sciences, Department of Economics and BlackRock, Inc.

Abstract:

Loading...

36.

Identification and Testing of a Term Structure Relationship for Country and Currency Risk Premia in an Emerging Market

Posted: 16 Jan 1997
Ian Domowitz, Jack D. Glen and Ananth Madhavan
ITG, Inc., International Finance Corporation (IFC) and BlackRock, Inc.

Abstract:

Loading...

37.

In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

Downloads 0 (698,441)

In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

REVIEW OF FINANCIAL STUDIES, Vol. 10 No. 1
Posted: 16 Apr 1997
Ananth Madhavan and Minder Cheng
BlackRock, Inc. and ThirdStream Partners LLC

Abstract:

Loading...

In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

Posted: 19 Jan 1995
Ananth Madhavan and Minder Cheng
BlackRock, Inc. and ThirdStream Partners LLC

Abstract:

Loading...

38.

Consolidation, Fragmentation, and the Disclosure of Trading Information

Downloads 0 (698,441)

Consolidation, Fragmentation, and the Disclosure of Trading Information

REVIEW OF FINANCIAL STUDIES, Vol 8 No 3
Posted: 23 Aug 1995
Ananth Madhavan
BlackRock, Inc.

Abstract:

Loading...

Consolidation, Fragmentation, and the Disclosure of Trading Information

Posted: 12 Sep 1994
Ananth Madhavan
BlackRock, Inc.

Abstract:

Loading...

39.

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

Downloads 0 (698,441)

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 1
Posted: 29 Nov 1995
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

Abstract:

Loading...

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

Posted: 16 May 1994
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

Abstract:

Loading...

Other Papers (1)

Total Downloads: 0
Actions:
Email selected abstracts
1.

The Dynamics of Leveraged and Inverse-Exchange Traded Funds

Journal of Investment Management, Winter 2009
Posted: 24 Apr 2009 Last Revised: 17 Nov 2009
Minder Cheng and Ananth Madhavan
ThirdStream Partners LLC and BlackRock, Inc.

Abstract:

Loading...

Exchange-Traded Funds, Leveraged ETF, Liquidity, Microstructure